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This article is cited in 2 scientific papers (total in 2 papers)
Short Communications
Maxima of independent sums in the presence of
heavy tails
A. V. Lebedev M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
Let
$$Y_{mn}=\max_{1\le i\le m}\sum_{j=1}^n X_{ij},\qquad m,n\ge 1,$$
be a family of extremes, where $X_{ij}$, $i,j\ge 1$,
are independent with common subexponential distribution $F$. The limit
behavior of $Y_{mn}$ is investigated as $m,n\to\infty$. Various
nondegenerate limit laws are obtained (Fréchet and Gumbel),
depending on the relative rate of growth of $m,n$ and the tail
behavior of $F$.
Keywords:
maxima, sums, regularly varying tails, subexponentiality, nondegenerate limit laws, linear scalingю.
Received: 17.03.2003
Citation:
A. V. Lebedev, “Maxima of independent sums in the presence of
heavy tails”, Teor. Veroyatnost. i Primenen., 49:4 (2004), 791–794; Theory Probab. Appl., 49:4 (2005), 700–703
Linking options:
https://www.mathnet.ru/eng/tvp196https://doi.org/10.4213/tvp196 https://www.mathnet.ru/eng/tvp/v49/i4/p791
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